tfm function

Transfer Function Model

Estimates a transform function model. This program does not allow rational transfer function model. It is a special case of tfm1 and tfm2.

tfm(y, x, b = 0, s = 1, p = 0, q = 0)

Arguments

• y: Data vector of dependent (output) variable
• x: Data vector of independent variable
• b: deadtime or delay
• s: The order of the transfer function polynomial
• p: AR order of the disturbance
• q: MA order of the disturbance

Details

The model entertained is y_t = c_0+ v(B)x_t + n_t. v(B) = 1- v1B - ... - vsB^s, and n_t is an ARMA(p,q) process.

Returns

• coef: Coefficient estimates of the transfer function

• se.coef: Standard errors of the transfer function coefficients

• coef.arma: Coefficient estimates of ARMA models

• se.arma: Standard errors of ARMA coefficients

• nt: The disturbance series

• residuals: The residual series

References

Box, G. E. P., Jenkins, G. M., and Reinsel, G. C. (1994). Time Series Analysis: Forecasting and Control, 3rd edition, Prentice Hall, Englewood Cliffs, NJ.

Author(s)

Ruey S. Tsay